Search Results - subject:"Volatility spillover effect"

Spillover effects between China's new energy and carbon markets and international crude oil market : a look at the impact of extreme events

Zhang, Yong; Tang, Guangyuan; Li, Rong - In: International review of economics & finance : IREF 98 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015331886

Measurement, identification, and spillover effects of systemic risk in the international clean energy market

Zhao, Mingtao; Lu, Suwan; Cui, Lianbiao - In: Energy strategy reviews 52 (2024), pp. 1-14

ICEM through volatility spillover effect (VSE). The results obtained indicate that the occurrence of systemic risk days in …

Persistent link: https://www.econbiz.de/10014583304

Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era: New evidence from the VARX-DCC-MEGARCH model

Liu, Xiaoxing; Shehzad, Khurram - In: Journal of Applied Economics 26 (2023) 1, pp. 1-24

This investigation utilized the VARX-DCC-MEGARCH model assimilated with skewed-t density to analyze the time-different (i.e., daytime, overnight, and daily) connectedness among S&P 500, DAX 30, FTSE-100, Nikkei 225, and Shanghai Composite Index. This investigation discovered that the current...

Persistent link: https://www.econbiz.de/10015334111

Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era : New evidence from the VARX-DCC-MEGARCH model

Liu, Xiaoxing; Shehzad, Khurram - 2023

Persistent link: https://www.econbiz.de/10014516096

Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets : the case of Borsa İstanbul

Gürbüz, Süleyman; Şahbaz, Ahmet - In: Borsa Istanbul Review 22 (2022) 2, pp. 321-331

general volatility spillover effect from the derivatives market to the stock market, except for the frequency that covers all … spillover effect on stock indexes using multivariate GARCH models and wavelet methods. We use the DVECH method, with variables …Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility …

Persistent link: https://www.econbiz.de/10013184127

The spillover effects among offshore and onshore RMB exchange rate markets, RMB Hibor market

Zhong, Yonghong; Harris, Richard I. D.; Deng, Shuhong - In: Quantitative finance and economics 4 (2020) 2, pp. 294-309

Persistent link: https://www.econbiz.de/10012271396

Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism

Xiong, Zhengde; Han, Lijun - In: Financial Innovation 1 (2015) 9, pp. 1-12

The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and …

Persistent link: https://www.econbiz.de/10011808197

Volatility spillover effect between financial markets : evidence since the reform of the RMB exchange rate mechanism

Xiong, Zhengde; Han, Lijun - In: Financial innovation : FIN 1 (2015) 9, pp. 1-12

The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and …

Persistent link: https://www.econbiz.de/10011541126